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feat(perpetual): close/open estimation queries return both custody and position size, later in terms of trading asset #861

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merged 5 commits into from
Oct 16, 2024
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feat(perpetual): close/open estimation queries return both custody and position size, later in terms of trading asset #861

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4fb6d2d
feat(perpetual): close/open estimation queries return both custody an…
cosmic-vagabond Oct 15, 2024
74e59cd
feat(perpetual): short position size = liabilities
cosmic-vagabond Oct 15, 2024
a294397
Merge branch 'main' into feat/open-close-estimation-queries
cosmic-vagabond Oct 15, 2024
a895143
fix(perpetual): conflits
cosmic-vagabond Oct 16, 2024
84506ff
Update x/perpetual/keeper/query_open_estimation_test.go
cosmic-vagabond Oct 16, 2024
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46 changes: 24 additions & 22 deletions proto/elys/perpetual/query.proto
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Original file line number Diff line number Diff line change
Expand Up @@ -214,22 +214,23 @@ message QueryOpenEstimationResponse {
string trading_asset = 3;
cosmos.base.v1beta1.Coin collateral = 4 [(gogoproto.nullable) = false] ;
string interest_amount = 5 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Int", (gogoproto.nullable) = false];
cosmos.base.v1beta1.Coin position_size = 6 [(gogoproto.nullable) = false] ;
string swap_fee = 7 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string discount = 8 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string open_price = 9 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string take_profit_price = 10 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string liquidation_price = 11 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string estimated_pnl = 12 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Int", (gogoproto.nullable) = false];
string estimated_pnl_denom = 13;
cosmos.base.v1beta1.Coin available_liquidity = 14 [(gogoproto.nullable) = false] ;
string slippage = 15 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string weight_balance_ratio = 16 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string borrow_interest_rate = 17 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string funding_rate = 18 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string price_impact = 19 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
cosmos.base.v1beta1.Coin borrow_fee = 20 [(gogoproto.nullable) = false ] ;
cosmos.base.v1beta1.Coin funding_fee = 21 [(gogoproto.nullable) = false ] ;
cosmos.base.v1beta1.Coin custody = 6 [(gogoproto.nullable) = false] ;
cosmos.base.v1beta1.Coin position_size = 7 [(gogoproto.nullable) = false] ;
string swap_fee = 8 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string discount = 9 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string open_price = 10 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string take_profit_price = 11 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string liquidation_price = 12 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string estimated_pnl = 13 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Int", (gogoproto.nullable) = false];
string estimated_pnl_denom = 14;
cosmos.base.v1beta1.Coin available_liquidity = 15 [(gogoproto.nullable) = false] ;
string slippage = 16 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string weight_balance_ratio = 17 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string borrow_interest_rate = 18 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string funding_rate = 19 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string price_impact = 20 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
cosmos.base.v1beta1.Coin borrow_fee = 21 [(gogoproto.nullable) = false ] ;
cosmos.base.v1beta1.Coin funding_fee = 22 [(gogoproto.nullable) = false ] ;
}

message QueryGetAllToPayRequest {}
Expand Down Expand Up @@ -271,10 +272,11 @@ message QueryCloseEstimationRequest {

message QueryCloseEstimationResponse {
Position position = 1;
cosmos.base.v1beta1.Coin position_size = 2 [(gogoproto.nullable) = false];
cosmos.base.v1beta1.Coin liabilities = 3 [(gogoproto.nullable) = false];
string price_impact = 4 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string swap_fee = 5 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
cosmos.base.v1beta1.Coin return_amount = 6 [(gogoproto.nullable) = false];
string liquidation_price = 7 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
cosmos.base.v1beta1.Coin custody = 2 [(gogoproto.nullable) = false];
cosmos.base.v1beta1.Coin position_size = 3 [(gogoproto.nullable) = false];
cosmos.base.v1beta1.Coin liabilities = 4 [(gogoproto.nullable) = false];
string price_impact = 5 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
string swap_fee = 6 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
cosmos.base.v1beta1.Coin return_amount = 7 [(gogoproto.nullable) = false];
string liquidation_price = 8 [(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec", (gogoproto.nullable) = false];
}
8 changes: 7 additions & 1 deletion x/perpetual/keeper/query_close_estimation.go
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Original file line number Diff line number Diff line change
Expand Up @@ -97,9 +97,15 @@ func (k Keeper) HandleCloseEstimation(ctx sdk.Context, req *types.QueryCloseEsti
sdk.NewDecFromBigInt(collateralAmountInBaseCurrency.BigInt()).Quo(sdk.NewDecFromBigInt(mtp.Custody.BigInt())),
)

positionSizeInTradingAsset := mtp.Custody
if mtp.Position == types.Position_SHORT {
positionSizeInTradingAsset = mtp.Liabilities
}

return &types.QueryCloseEstimationResponse{
Position: mtp.Position,
PositionSize: sdk.NewCoin(mtp.CustodyAsset, mtp.Custody),
PositionSize: sdk.NewCoin(mtp.TradingAsset, positionSizeInTradingAsset),
Custody: sdk.NewCoin(mtp.CustodyAsset, mtp.Custody),
Liabilities: sdk.NewCoin(mtp.LiabilitiesAsset, mtp.Liabilities),
// TODO: price impact calculation
PriceImpact: sdk.ZeroDec(),
Expand Down
86 changes: 76 additions & 10 deletions x/perpetual/keeper/query_close_estimation_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -83,7 +83,7 @@ func TestCloseEstimation_MTPNotFound(t *testing.T) {
mockChecker.AssertExpectations(t)
}

func TestCloseEstimation_ExistingMTP(t *testing.T) {
func TestCloseEstimation_ExistingLongMTP(t *testing.T) {
// Setup the perpetual keeper
k, ctx, assetProfileKeeper := keepertest.PerpetualKeeper(t)

Expand All @@ -105,35 +105,34 @@ func TestCloseEstimation_ExistingMTP(t *testing.T) {
}
mtp = types.MTP{
AmmPoolId: 2,
CollateralAsset: ptypes.BaseCurrency,
CollateralAsset: ptypes.ATOM,
Collateral: sdk.NewInt(100),
CustodyAsset: "uatom",
CustodyAsset: ptypes.ATOM,
Custody: sdk.NewInt(50),
LiabilitiesAsset: ptypes.BaseCurrency,
Liabilities: sdk.NewInt(400),
TradingAsset: "uatom",
TradingAsset: ptypes.ATOM,
Position: types.Position_LONG,
BorrowInterestUnpaidCollateral: sdk.NewInt(10),
OpenPrice: sdk.MustNewDecFromStr("1.5"),
}
pool = types.Pool{
BorrowInterestRate: math.LegacyNewDec(2),
}
ammPool = ammtypes.Pool{}
baseCurrency = "usdc"
ammPool = ammtypes.Pool{}
)

// Mock behavior
mockChecker.On("GetMTP", ctx, sdk.MustAccAddressFromBech32(query.Address), query.PositionId).Return(mtp, nil).Once()
mockChecker.On("GetPool", ctx, mtp.AmmPoolId).Return(pool, true).Once()
mockChecker.On("GetAmmPool", ctx, mtp.AmmPoolId, mtp.CustodyAsset).Return(ammPool, nil).Once()
mockChecker.On("EstimateSwap", ctx, sdk.NewCoin(mtp.CustodyAsset, mtp.Custody), mtp.CollateralAsset, ammPool).Return(math.NewInt(10000), nil).Once()
mockChecker.On("EstimateSwapGivenOut", ctx, sdk.NewCoin(mtp.CollateralAsset, mtp.BorrowInterestUnpaidCollateral), baseCurrency, ammPool).Return(math.NewInt(200), nil).Once()
mockChecker.On("EstimateSwapGivenOut", ctx, sdk.NewCoin(baseCurrency, sdk.NewInt(9400)), mtp.CollateralAsset, ammPool).Return(math.NewInt(9400), nil).Once()
mockChecker.On("EstimateSwapGivenOut", ctx, sdk.NewCoin(mtp.CollateralAsset, mtp.Collateral), baseCurrency, ammPool).Return(math.NewInt(1111), nil).Once()
mockChecker.On("EstimateSwapGivenOut", ctx, sdk.NewCoin(mtp.CollateralAsset, mtp.BorrowInterestUnpaidCollateral), ptypes.BaseCurrency, ammPool).Return(math.NewInt(200), nil).Once()
mockChecker.On("EstimateSwapGivenOut", ctx, sdk.NewCoin(ptypes.BaseCurrency, sdk.NewInt(9400)), mtp.CollateralAsset, ammPool).Return(math.NewInt(9400), nil).Once()
mockChecker.On("EstimateSwapGivenOut", ctx, sdk.NewCoin(mtp.CollateralAsset, mtp.Collateral), ptypes.BaseCurrency, ammPool).Return(math.NewInt(1111), nil).Once()

assetProfileKeeper.On("GetEntry", ctx, ptypes.BaseCurrency).Return(atypes.Entry{
Denom: baseCurrency,
Denom: ptypes.BaseCurrency,
}, true).Once()

res, err := k.CloseEstimation(ctx, query)
Expand All @@ -144,6 +143,73 @@ func TestCloseEstimation_ExistingMTP(t *testing.T) {

assert.Equal(t, mtp.Position, res.Position)
assert.Equal(t, mtp.Custody, res.PositionSize.Amount)
assert.Equal(t, mtp.Custody, res.Custody.Amount)
assert.Equal(t, mtp.Liabilities, res.Liabilities.Amount)
assert.Equal(t, sdk.ZeroDec(), res.PriceImpact)
assert.Equal(t, swapFee, res.SwapFee)
assert.Equal(t, sdk.NewCoin(mtp.CollateralAsset, sdk.NewInt(9400)), res.ReturnAmount)
}

func TestCloseEstimation_ExistingShortMTP(t *testing.T) {
// Setup the perpetual keeper
k, ctx, assetProfileKeeper := keepertest.PerpetualKeeper(t)

// Setup the mock checker
mockChecker := new(mocks.CloseEstimationChecker)

// assign the mock checker to the keeper
k.CloseEstimationChecker = mockChecker

address := sdk.AccAddress([]byte("address"))

// get swap fee param
swapFee := k.GetSwapFee(ctx)

var (
query = &types.QueryCloseEstimationRequest{
Address: address.String(),
PositionId: 1,
}
mtp = types.MTP{
AmmPoolId: 2,
CollateralAsset: ptypes.BaseCurrency,
Collateral: sdk.NewInt(100),
CustodyAsset: ptypes.BaseCurrency,
Custody: sdk.NewInt(50),
LiabilitiesAsset: ptypes.ATOM,
Liabilities: sdk.NewInt(400),
TradingAsset: ptypes.ATOM,
Position: types.Position_SHORT,
BorrowInterestUnpaidCollateral: sdk.NewInt(10),
OpenPrice: sdk.MustNewDecFromStr("1.5"),
}
pool = types.Pool{
BorrowInterestRate: math.LegacyNewDec(2),
}
ammPool = ammtypes.Pool{}
)

// Mock behavior
mockChecker.On("GetMTP", ctx, sdk.MustAccAddressFromBech32(query.Address), query.PositionId).Return(mtp, nil).Once()
mockChecker.On("GetPool", ctx, mtp.AmmPoolId).Return(pool, true).Once()
mockChecker.On("GetAmmPool", ctx, mtp.AmmPoolId, mtp.CustodyAsset).Return(ammPool, nil).Once()
mockChecker.On("EstimateSwap", ctx, sdk.NewCoin(mtp.CustodyAsset, mtp.Custody), mtp.TradingAsset, ammPool).Return(math.NewInt(10000), nil).Once()
mockChecker.On("EstimateSwapGivenOut", ctx, sdk.NewCoin(mtp.CollateralAsset, mtp.BorrowInterestUnpaidCollateral), mtp.TradingAsset, ammPool).Return(math.NewInt(200), nil).Once()
mockChecker.On("EstimateSwapGivenOut", ctx, sdk.NewCoin(mtp.TradingAsset, sdk.NewInt(9400)), mtp.CollateralAsset, ammPool).Return(math.NewInt(9400), nil).Once()

assetProfileKeeper.On("GetEntry", ctx, ptypes.BaseCurrency).Return(atypes.Entry{
Denom: ptypes.BaseCurrency,
}, true).Once()

res, err := k.CloseEstimation(ctx, query)
assert.NoError(t, err)

mockChecker.AssertExpectations(t)
assetProfileKeeper.AssertExpectations(t)

assert.Equal(t, mtp.Position, res.Position)
assert.Equal(t, mtp.Liabilities, res.PositionSize.Amount)
assert.Equal(t, mtp.Custody, res.Custody.Amount)
assert.Equal(t, mtp.Liabilities, res.Liabilities.Amount)
assert.Equal(t, sdk.ZeroDec(), res.PriceImpact)
assert.Equal(t, swapFee, res.SwapFee)
Expand Down
24 changes: 15 additions & 9 deletions x/perpetual/keeper/query_open_estimation.go
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Expand Up @@ -66,13 +66,13 @@ func (k Keeper) HandleOpenEstimation(ctx sdk.Context, req *types.QueryOpenEstima
leveragedAmount := sdk.NewDecFromBigInt(collateralAmountInBaseCurrency.Amount.BigInt()).Mul(req.Leverage).TruncateInt()
leveragedCoin := sdk.NewCoin(baseCurrency, leveragedAmount)

_, _, positionSize, openPrice, swapFee, discount, availableLiquidity, slippage, weightBonus, priceImpact, err := k.amm.CalcSwapEstimationByDenom(ctx, leveragedCoin, baseCurrency, req.TradingAsset, baseCurrency, req.Discount, swapFee, decimals)
_, _, custody, openPrice, swapFee, discount, availableLiquidity, slippage, weightBonus, priceImpact, err := k.amm.CalcSwapEstimationByDenom(ctx, leveragedCoin, baseCurrency, req.TradingAsset, baseCurrency, req.Discount, swapFee, decimals)
if err != nil {
return nil, err
}

if req.Position == types.Position_SHORT {
positionSize = sdk.NewCoin(req.Collateral.Denom, leveragedAmount)
custody = sdk.NewCoin(req.Collateral.Denom, leveragedAmount)
}

// invert openPrice if collateral is not in base currency
Expand All @@ -93,31 +93,36 @@ func (k Keeper) HandleOpenEstimation(ctx sdk.Context, req *types.QueryOpenEstima
// if position is short then:
if req.Position == types.Position_SHORT {
// estimated_pnl = custody_amount - liabilities_amount * take_profit_price - collateral_amount
estimatedPnL = sdk.NewDecFromBigInt(positionSize.Amount.BigInt()).Sub(liabilitiesAmountDec.Mul(req.TakeProfitPrice)).Sub(sdk.NewDecFromBigInt(req.Collateral.Amount.BigInt()))
estimatedPnL = sdk.NewDecFromBigInt(custody.Amount.BigInt()).Sub(liabilitiesAmountDec.Mul(req.TakeProfitPrice)).Sub(sdk.NewDecFromBigInt(req.Collateral.Amount.BigInt()))
} else {
// if position is long then:
// if collateral is not in base currency
if req.Collateral.Denom != baseCurrency {
// estimated_pnl = (custody_amount - collateral_amount) * take_profit_price - liabilities_amount
estimatedPnL = sdk.NewDecFromBigInt(positionSize.Amount.BigInt()).Sub(sdk.NewDecFromBigInt(req.Collateral.Amount.BigInt())).Mul(req.TakeProfitPrice).Sub(liabilitiesAmountDec)
estimatedPnL = sdk.NewDecFromBigInt(custody.Amount.BigInt()).Sub(sdk.NewDecFromBigInt(req.Collateral.Amount.BigInt())).Mul(req.TakeProfitPrice).Sub(liabilitiesAmountDec)
} else {
// estimated_pnl = custody_amount * take_profit_price - liabilities_amount - collateral_amount
estimatedPnL = sdk.NewDecFromBigInt(positionSize.Amount.BigInt()).Mul(req.TakeProfitPrice).Sub(liabilitiesAmountDec).Sub(sdk.NewDecFromBigInt(req.Collateral.Amount.BigInt()))
estimatedPnL = sdk.NewDecFromBigInt(custody.Amount.BigInt()).Mul(req.TakeProfitPrice).Sub(liabilitiesAmountDec).Sub(sdk.NewDecFromBigInt(req.Collateral.Amount.BigInt()))
}
}

// calculate liquidation price
// liquidation_price = open_price_value - collateral_amount / custody_amount
liquidationPrice := openPrice.Sub(
sdk.NewDecFromBigInt(collateralAmountInBaseCurrency.Amount.BigInt()).Quo(sdk.NewDecFromBigInt(positionSize.Amount.BigInt())),
sdk.NewDecFromBigInt(collateralAmountInBaseCurrency.Amount.BigInt()).Quo(sdk.NewDecFromBigInt(custody.Amount.BigInt())),
)

positionSizeInTradingAsset := custody

// if position is short then liquidation price is open price + collateral amount / (custody amount / open price)
if req.Position == types.Position_SHORT {
positionSizeInTradingAsset := sdk.NewDecFromBigInt(positionSize.Amount.BigInt()).Quo(openPrice)
// for short position size = liabilities
custodyAmountInTradingAssetDec := sdk.NewDecFromBigInt(custody.Amount.BigInt()).Quo(openPrice)
liquidationPrice = openPrice.Add(
sdk.NewDecFromBigInt(collateralAmountInBaseCurrency.Amount.BigInt()).Quo(positionSizeInTradingAsset),
sdk.NewDecFromBigInt(collateralAmountInBaseCurrency.Amount.BigInt()).Quo(custodyAmountInTradingAssetDec),
)
positionSizeInTradingAssetDec := sdk.NewDecFromBigInt((custody.Amount.Sub(req.Collateral.Amount)).BigInt()).Quo(openPrice)
positionSizeInTradingAsset = sdk.NewCoin(req.TradingAsset, positionSizeInTradingAssetDec.TruncateInt())
}

// get pool rates
Expand Down Expand Up @@ -171,7 +176,8 @@ func (k Keeper) HandleOpenEstimation(ctx sdk.Context, req *types.QueryOpenEstima
TradingAsset: req.TradingAsset,
Collateral: req.Collateral,
InterestAmount: interestAmount,
PositionSize: positionSize,
Custody: custody,
PositionSize: positionSizeInTradingAsset,
SwapFee: swapFee,
Discount: discount,
OpenPrice: openPrice,
Expand Down
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